Volume-Confirmed Swing Breakouts with Moving-Average and ATR Filters

Summary

This swing-trading system buys a close above the prior 50-day closing high when volume is at least 1.5 times its 50-day average. It requires a bullish trend structure: price must be above both the 50- and 200-day moving averages, and the shorter average must be above the longer one. Signals are evaluated on completed bars, with entries filled at the next bar’s open in the described backtest model.

An ATR trailing stop is set four ATRs below the highest price reached since entry and ratchets upward as the trade advances. The script also marks situations where price is near a breakout level, but those alerts are informational rather than entry signals. The document provides implementation details, including assumptions about commissions, slippage, and gap-through-stop fills, but no backtest results or market-specific evaluation. Its fixed lookbacks and thresholds may behave differently across instruments and regimes, and should be assessed with realistic data and costs.

Key ideas

• A long entry requires a close above the prior 50-day closing high and elevated volume.
• The strategy filters breakouts by price position relative to the 50- and 200-day averages.
• Entry orders are modeled at the next bar’s open.
• The exit trails the highest price since entry by four ATRs and only moves upward.
• The document describes execution assumptions but reports no performance evidence.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.